Return premiums of sustainable companies listed on the Spanish stock market

The purpose of this paper is to analyze whether companies with a greater commitment to corporate social responsibility (SRI companies) perform differently on the stock market compared to companies that disregard SRI. Over recent years, this relationship has been taken up at both a theoretical and practical level, and has led to extensive scientific research of an empirical nature involving the examination of the relationships existing between the financial and social, environmental and corporate governance performance of a company and the relationship between SRI and investment decisions in the financial market. More specifically, this work provides empirical evidence for the Spanish market as to whether or not belonging to a group of companies the market classes as sustainable results in return premiums that set them apart from companies classed as conventional, and finds no differences in the stock market performance of companies considered to be SRI or conventional.

What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Industry concentration and market volatility

In this paper our aim is to gain a better understanding of the relationship between market volatility and industrial structure. As conflicting results have been documented regarding the relationship between market industry concentration and market volatility, this study investigates this relationship in the time series. We have found that this relationship is only significant and positive for Spain. Our results suggest that we cannot generalize across different countries that market industrial structure (concentration) is a significant factor in explaining market volatility.

Relationship of balance to function independence in stroke survivors

Cerebral vascular disease is the primary cause of permanent disability in Portugal. Impaired stability is considered an important feature after stroke as it is related with higher risk of falls and functional dependence. Physiotherapy intervention usually starts early after stroke in order to direct motor recovery and help patients to improve their ability to perform activities of daily living (ADL). Purpose: to investigate the relationship of balance to functionality in acute stroke patients. Methods: 16 subjects (8 women and 8 men), mean age 63,62 ± 2,16y, with unilateral ischemic stroke in the middle cerebral artery territory, who were admitted to physiotherapy department of Fernando Fonseca Hospital in Portugal, within the first month after stroke were recruited to participate in this study. All subjects have no cognitive impairment according to Mini Mental State, no history of lower extremity orthopedic problems and no other disease that could interfere with treatments. All patients gave their inform consent to participate in this study. Subjects were assessed with the Modified Barthel Index (MBI) and the Berg Balance Scale (BBS).

Market trends and dilemmas of parenthal participation in schools

Este artigo descreve e analisa o impacto da definição e implementação de um novo modelo de gestão dos estabelecimentos de ensino não superior (Dec-lei nº115_A/98) nos padrões de cidadania e equidade do ensino público Português. A institucionalização deste modelo representa uma mudança na matriz centralista e burocrática do referido ensino público e sugere uma aproximação às concepções neo-gerencialistas e neo-liberais que, desde meados dos anos 80, têm dominado a agenda política de muitos países desenvolvidos e de alguns organismos internacionais. Os resultados da pesquisa sugerem que a implementação do novo modelo de gestão contribuiu para reforçar os padrões de diferenciação social no ensino básico (1ºciclo) e, mais especificamente, para preservar as .vantagens competitivas. da classe média na escola pública Portuguesa.

Influence of LPG composition on straw applied one componente PU winter foam

O principal objectivo desta tese é obter uma relação directa entre a composição dos gases liquefeitos de petróleo (GLP), propano, n-butano e isobutano, usados como aerossóis propulsores numa lata de poliuretano de um componente, com as propriedades das espumas produzidas por spray. As espumas obtidas, terão de ter como requisito principal, um bom desempenho a temperaturas baixas, -10ºC, sendo por isso designadas por espumas de Inverno. Uma espuma é considerada como tendo um bom desempenho se não apresentar a -10/-10ºC (temperatura lata/ spray) glass bubbles, base holes e cell collapse. As espumas deverão ainda ter densidades do spray no molde a +23/+23ºC abaixo dos 30 g/L, um rendimento superior a 30 L, boa estabilidade dimensional e um caudal de espuma a +5/+5ºC superior a 5 g/s. Os ensaios experimentais foram realizados a +23/+23ºC, +5/+5ºC e a -10/-10ºC. A cada temperatura, as espumas desenvolvidas, foram submetidas a testes que permitiram determinar a sua qualidade. Testes esses que incluem os designados por Quick Tests (QT): o spray no papel e no molde das espumas nas referidas temperaturas. As amostras do papel e no molde são especialmente analisadas, quanto, às glass bubbles, cell collapse, base holes, cell structur e, cutting shrinkage, para além de outras propriedades. Os QT também incluem a análise da densidade no molde (ODM) e o estudo do caudal de espumas. Além dos QT foram realizados os testes da estabilidade dimensional das espumas, testes físicos de compressão e adesão, testes de expansão das espumas após spray e do rendimento por lata de espuma. Em todos os ensaios foi utilizado um tubo adaptador colocado na válvula da lata como método de spray e ainda mantida constante a proporção das matérias-primas (excepto os gases, em estudo). As experiências iniciaram-se com o estudo de GLPs presentes no mercado de aerossóis. Estes resultaram que o GLP: propano/ n-butano/ isobutano: (30/ 0/ 70 w/w%), produz as melhores espumas de inverno a -10/-10ºC, reduzindo desta forma as glass bubbles, base holes e o cell collapse produzido pelos restantes GLP usados como aerossóis nas latas de poliuretano. Testes posteriores tiveram como objectivo estudar a influência directa de cada gás, propano, n-butano e isobutano nas espumas. Para tal, foram usadas duas referências do estudo com GLP comercializáveis, 7396 (30 /0 /70 w/w %) e 7442 (0/ 0/ 100 w/w %). Com estes resultados concluí-se que o n-butano produz más propriedades nas espumas a -10/- 10ºC, formando grandes quantidades de glass bubbles, base holes e cell collapse. Contudo, o uso de propano reduz essas glass bubbles, mas em contrapartida, forma cell collapse.Isobutano, porém diminui o cell collapse mas não as glass bubbles. Dos resultados experimentais podemos constatar que o caudal a +5/+5ºC e densidade das espumas a +23/+23ºC, são influenciados pela composição do GLP. O propano e n-butano aumentam o caudal de espuma das latas e a sua densidade, ao contrário com o que acontece com o isobutano. Todavia, pelos resultados obtidos, o isobutano proporciona os melhores rendimentos de espumas por lata. Podemos concluir que os GLPs que contivessem cerca de 30 w/w % de propano (bons caudais a +5/+5ºC e menos glass bubbles a -10/-10ºC), e cerca 70 w/w % de isobutano (bons rendimentos de espumas, bem como menos cell collapse a -10/-10ºC) produziam as melhores espumas. Também foram desenvolvidos testes sobre a influência da quantidade de gás GLP presente numa lata. A análise do volume de GLP usado, foi realizada com base na melhor espuma obtida nos estudos anteriores, 7396, com um GLP (30 / 0/ 70 w/w%), e foram feitas alterações ao seu volume gás GLP presente no pré-polímero. O estudo concluiu, que o aumento do volume pode diminuir a densidade das espumas, e o seu decréscimo, um aumento da densidade. Também indico u que um mau ajuste do volume poderá causar más propriedades nas espumas. A análise económica, concluiu que o custo das espumas com mais GLP nas suas formulações, reduz-se em cerca de 3%, a quando de um aumento do volume de GLP no pré-polímero de cerca de 8 %. Esta diminuição de custos deveu-se ao facto, de um aumento de volume de gás, implicar uma diminuição na quantidade das restantes matérias-primas, com custos superiores, já que o volume útil total da lata terá de ser sempre mantido nos 750 mL. Com o objectivo de melhorar a qualidade da espuma 7396 (30/0/70 w/w %) obtida nos ensaios anteriores adicionou-se à formulação 7396 o HFC-152a (1,1-di fluoroetano). Os resultados demonstram que se formam espumas com más propriedades, especialmente a -10/-10ºC, contudo proporcionou excelentes shaking rate da lata. Através de uma pequena análise de custos não é aconselhável o seu uso pelos resultados obtidos, não proporcionando um balanço custo/benefício favorável. As três melhores espumas obtidas de todos os estudos foram comparadas com uma espuma de inverno presente no mercado. 7396 e 7638 com um volume de 27 % no prépolímero e uma composição de GLP (30/ 0 / 70 w/w%) e (13,7/ 0/ 86,3 w/w%), respectivamente, e 7690, com 37 % de volume no pré-polímero e GLP (30/ 0 / 70 w/w%), apresentaram em geral melhores resultados, comparando com a espuma benchmark . Contudo, os seus shaking rate a -10/-10ºC, de cada espuma, apresentaram valores bastante inferiores à composição benchmarking.

Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

Validation of a measurement scale for the relationship between the orientation to corporate social responsibility and other business strategic variables

The importance of Social Responsibility (SR) is higher if this business variable is related with other ones of strategic nature in business activity (competitive success that the company achieved, performance that the firms develop and innovations that they carries out). The hypothesis is that organizations that focus on SR are those who get higher outputs and innovate more, achieving greater competitive success. A scale for measuring the orientation to SR has defined in order to determine the degree of relationship between above elements. This instrument is original because previous scales do not exist in the literature which could measure, on the one hand, the three classics sub-constructs theoretically accepted that SR is made up and, on the other hand, the relationship between SR and the other variables. As a result of causal relationships analysis we conclude with a scale of 21 indicators, validated scale with a sample of firms belonging to the Autonomous Community of Extremadura and it is the first empirical validation of these dimensions we know so far, in this context.

Evidence of portuguese stock market abnormal returns

According to the stock market efficiency theory, it is not possible to consistently beat the market. However, technical analysis is more and more spread as an efficient way to achieve abnormal returns. In fact there is evidence that momentum investing strategies provide abnormal returns in different stock markets, Jegadeesh, N. and Titman, S. (1993), George, T. and Hwang, C. (2004) and Du, D. (2009). In this work we study if like other markets, the Portuguese stock market also allows to obtain abnormal returns, using a strategy that consists in picking stocks according to their past performance. Our work confirms the results of Soares, J. and Serra, A. (2005) and Pereira, P. (2009), showing that an investor can get abnormal returns investing in momentum portfolios. The Portuguese stock market evidences momentum returns in short term, exhibiting reversal in long term.

Pricing intraday dynamics across EUAS and CERS markets

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

Short-term electricity prices forecasting in a competitive market by a hybrid PSO-ANFIS approach

In this paper, a novel hybrid approach is proposed for electricity prices forecasting in a competitive market, considering a time horizon of 1 week. The proposed approach is based on the combination of particle swarm optimization and adaptive-network based fuzzy inference system. Results from a case study based on the electricity market of mainland Spain are presented. A thorough comparison is carried out, taking into account the results of previous publications, to demonstrate its effectiveness regarding forecasting accuracy and computation time. Finally, conclusions are duly drawn. (C) 2012 Elsevier Ltd. All rights reserved.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

Short-term electricity prices forecasting in a competitive market by a hybrid intelligent approach

In this paper, a hybrid intelligent approach is proposed for short-term electricity prices forecasting in a competitive market. The proposed approach is based on the wavelet transform and a hybrid of neural networks and fuzzy logic. Results from a case study based on the electricity market of mainland Spain are presented. A thorough comparison is carried out, taking into account the results of previous publications. Conclusions are duly drawn. (C) 2010 Elsevier Ltd. All rights reserved.